Understanding Regressions with Observations Collected at High Frequency over Long Span
Download full text from publisher
References listed on IDEAS
- Kim, Jihyun & Park, Joon Y., 2017. "Asymptotics for recurrent diffusions with application to high frequency regression," Journal of Econometrics, Elsevier, vol. 196(1), pages 37-54.
Blog mentionsAs found by EconAcademics.org, the blog aggregator for Economics research:
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
More about this item
Keywordshigh frequency regression; spurious regression; continuous time model; asymptotics; longrun variance estimation;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2018-12-10 (Econometrics)
- NEP-ETS-2018-12-10 (Econometric Time Series)
- NEP-MST-2018-12-10 (Market Microstructure)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:syd:wpaper:2018-10. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Vanessa Holcombe). General contact details of provider: http://edirc.repec.org/data/deusyau.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.